We study the link between corporate bond risk premia and equity returns in a large panel of corporate bond transaction … data. In contrast to previous work, we find that a significant part of the time variation in bond risk premia can be … explained by equity-implied bond risk premium estimates. We also document a large time variation in the expected loss component …

Using a large panel of corporate bond transaction data, we study the linkages between equity and corporate bond risk … premia. We find that a significant part of the time variation in bond default risk premia can be explained by equity implied … bond risk premium estimates. We compute these estimates using a recent structural credit risk model. In addition, we show …

What are the cross-sectional and time-series characteristics of corporate bond returns? Do corporate bond risk premia …

on the returns and valuation of bonds, there is hardly a consensus on the risk components of the yield spreads. This … article aims to investigate the effect of investor sentiment as a systematic risk factor on speculative bond yield spreads … period sentiment. Empirical findings imply that investor sentiment is a systematic risk factor in risky bond markets. …